Impacts of Exchange Rate Volatility on Macroeconomic and Financial Variables: Empirical Evidence from PVAR Modeling

Özçelebi, Oğuzhan

doi:10.5772/intechopen.74406

Cited by 6 publications

(4 citation statements)

References 36 publications

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“…The result by Janus and Riera-Crichton (2015) on some OECD countries revealed an inverse correlation between exchange rate changes and the GDP. In another study, a positive association was shown in the results of the Panel Vector Autoregression models on the interplay of exchange rate volatility, inflation rate and returns on stocks for 10 OECD countries by Ozcelebi (2018). The Impulse Response outcome of the VAR of the study further revealed that volatility of the exchange rate could impact positively on economic activities via a fall in interest rate.…”

Section: Review Of Related Literaturementioning

confidence: 83%

“…Opinions vary about the association between exchange rate volatility and its effect on macroeconomic performance. While some have argued that exchange rate instability drives economic growth in an economy (Ozcelebi 2018), others have argued that it hampers the growth process (Barguellil et al 2018). Possible reason for the differences in the findings of researchers may have emanated from data usage, methodology, the period of study and country-specific features (Phiri 2018).…”

Section: Review Of Related Literaturementioning

confidence: 99%

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Exchange Rate Volatility, Inflation and Economic Growth in Developing Countries: Panel Data Approach for SADC

2022

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In the Southern African Development Community, the relationships between exchange rate instability, inflation and economic growth remain at the forefront of economic debate because of the historical antecedent and economic clustering of member countries. Nonetheless, much is not known regarding the complexity, complementarity or substitutability of exchange rate instability and inflation on economic growth for SADC countries. This article examined the influence of exchange rate instability on the inflation–growth nexus of the region for the period of 2000 to 2018. Three major techniques of analyses, Pooled Mean Group (PMG), Generalised Moments (GM) and Dynamic Fixed Effect (DFE), were employed in achieving the goal of the study, but the Pooled Mean Group estimator of the Panel Autoregressive Distributed Lag was favoured by the Hausman test as the main instrument. The GARCH (1, 1) was also employed to generate exchange rate instability. The findings of the study showed that exchange rate instability and inflation have a negative relationship with economic growth of the region. Results further show evidence that economic growth of the region is adversely influenced by the consequential effect of exchange rate instability on inflation: the higher the level of instability in exchange rate, the worse the inflationary-growth relationship of the region. This confirms the menu cost theory of price setting: the higher the rate of inflation, the quicker the exchange rate pass-through effect. It is therefore recommended that policies to ensure appreciation of local currencies should be the priority of member nations.

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Section: Review Of Related Literaturementioning

confidence: 83%

Section: Review Of Related Literaturementioning

confidence: 99%

Exchange Rate Volatility, Inflation and Economic Growth in Developing Countries: Panel Data Approach for SADC

2022

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“…Before using the PVAR model for estimation, the optimal lag order of the model shall be determined. Based on the existing PVAR2 program research results [36], AIC, BIC, and hqic statistics are constructed to determine the optimal lag order. Then, referring to the research of relevant scholars [37], the standard of the best lag order is: under the AIC, BIC, and hqic criteria, the minimum value.…”

Section: Lag Order Selectionmentioning

confidence: 99%

Spatial and Temporal Characteristics and Influencing Factors of G20 Box Office Revenues: A Film Geography Perspective

et al. 2022

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The geography of film is an interdisciplinary field of geography and communication. Understanding the spatial and temporal characteristics of the global box office scale represented by the G20 is important for expanding the research scope of film geography focusing on “space” and promoting the development of film industries around the world. This paper studies the spatial and temporal characteristics and influencing factors of G20 box office revenues 2003–2019 using the Theil coefficient, spatial analysis, and a panel vector auto-regressive model. According to the research: (1) the distribution of the top box office revenues within the G20 is obvious; the scale differences among these countries are gradually decreasing and the scale differences between China and the United States are the most significant; (2) the box office differences of the G20 are gradually decreasing; the Asian movie market represented by China and South Korea is developing rapidly; (3) from the perspective of the transfer of movie box office scale types within a Markov Chain, the number of countries in type II and III is the largest and the transfer among different types is mainly to high-level types; and (4) the factors influencing the box office of G20 movies are the number of screens, per capita gross national income, the working-age population, and GDP, respectively.

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“…Trade Balance (Bustaman & Jayanthakumaran, 2007), (Arifin & Mayasya, 2018), (Wulansari, 2017); Inflation (Keefe, 2020), (Okechukwu et al, 2019), (Ozcelebi, 2018); Interest Rates (Okechukwu et al, 2019), (Kasman et al, 2011) and (Wulansari, 2017).…”

Section: A Introductionmentioning

confidence: 99%

Determinants of the Volatility of the Rupiah Exchange Rate Against the Dollarsamerica in the Middle of the Covid-19

Astuty

2022

JABE

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<em>Liberalization, regionalization, and globalization have made the inflow of goods, services, and capital easier to break through the regional boundaries of a country, and the barriers have continued to decrease for global trade or business. cross border. The consequences of liberalization, regionalization, and globalization demand the existence of a country's economic transparency which can cause concerns for every country, including Indonesia, especially regarding the stability of its currency exchange rate. During the Covid-19 Pandemic, at the end of March 2020, the Rupiah exchange rate against the US Dollar weakened by 18% compared to its position in December 2019 (before the Covid-19 Pandemic). The exchange rate of the Rupiah against the US Dollar is continuously fluctuating and tends to weaken. The volatility of the Rupiah exchange rate against the US Dollar and its large volatility over a long period can disrupt the economy as a whole. The purpose of this research is to analyze the factors that influence the volatility of the Rupiah exchange rate to the US Dollar. This research uses inferior information on duration (time series) from 2009 to 2020 (information per year). The results of the research can be concluded that the JCI, Trade Balance, Foreign Loans, Inflation, and Interest Rates have an important influence on the volatility of the Rupiah exchange rate to the US Dollar either simultaneously or partially</em>

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Impacts of Exchange Rate Volatility on Macroeconomic and Financial Variables: Empirical Evidence from PVAR Modeling

Cited by 6 publications

References 36 publications

Exchange Rate Volatility, Inflation and Economic Growth in Developing Countries: Panel Data Approach for SADC

Exchange Rate Volatility, Inflation and Economic Growth in Developing Countries: Panel Data Approach for SADC

Spatial and Temporal Characteristics and Influencing Factors of G20 Box Office Revenues: A Film Geography Perspective

Determinants of the Volatility of the Rupiah Exchange Rate Against the Dollarsamerica in the Middle of the Covid-19

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